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Seasonal Variation in the Price Discovery Process of International Wheat
Author(s) -
Arnade Carlos,
Vocke Gary
Publication year - 2015
Publication title -
agribusiness
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.57
H-Index - 43
eISSN - 1520-6297
pISSN - 0742-4477
DOI - 10.1002/agr.21428
Subject(s) - price discovery , econlit , economics , relative price , econometrics , western hemisphere , financial economics , monetary economics , international economics , futures contract , biology , biochemistry , medline
This paper uses the Gonzalo–Granger price discovery method to determine whether wheat prices are primarily discovered in the Northern Hemisphere or Southern Hemisphere and whether the price discovery process changes throughout the calendar year. Testing U.S. hard red winter prices against Argentina's wheat price we find that the United States dominates the price discovery process 7 months of the year. Testing U.S Portland soft white prices against Australia's wheat price we find that both countries play a significant role in price discovery but the relative country contribution to price formation varies throughout the year. We also find that the price discovery process changes over time. [EconLit citations: D4, C1, F15].